0.32025830955048284
Kerry Back
from scipy.optimize import fsolve
def callIV(C, S, K, T, r, q=0):
return fsolve(
lambda x: C - callBS(S, K, T, x, r, q),
x0=0.3
)
C = 15
S = 100
K = 100
T = 1
r = 0.05
iv = callIV(C, S, K, T, r)
iv[0]0.32025830955048284
153.98
| contractSymbol | lastTradeDate | lastPrice | bid | ask | change | percentChange | volume | openInterest | impliedVolatility | inTheMoney | contractSize | currency | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| strike | |||||||||||||
| 140.0 | AAPL230421C00140000 | 2023-03-06 19:47:20+00:00 | 16.50 | 16.50 | 16.70 | 2.67 | 19.305859 | 533 | 15042 | 0.371100 | True | REGULAR | USD |
| 145.0 | AAPL230421C00145000 | 2023-03-06 19:44:08+00:00 | 12.50 | 12.45 | 12.60 | 2.60 | 26.262630 | 1278 | 11887 | 0.338752 | True | REGULAR | USD |
| 150.0 | AAPL230421C00150000 | 2023-03-06 19:42:03+00:00 | 8.70 | 8.75 | 8.85 | 2.00 | 29.850748 | 6233 | 35170 | 0.306892 | True | REGULAR | USD |
| 155.0 | AAPL230421C00155000 | 2023-03-06 19:45:57+00:00 | 5.78 | 5.75 | 5.80 | 1.69 | 41.320293 | 9023 | 44191 | 0.284919 | False | REGULAR | USD |
| 160.0 | AAPL230421C00160000 | 2023-03-06 19:45:34+00:00 | 3.40 | 3.40 | 3.45 | 1.20 | 54.545456 | 9097 | 43762 | 0.266487 | False | REGULAR | USD |
| 165.0 | AAPL230421C00165000 | 2023-03-06 19:47:25+00:00 | 1.74 | 1.77 | 1.79 | 0.68 | 64.150955 | 7850 | 27696 | 0.248909 | False | REGULAR | USD |
| 170.0 | AAPL230421C00170000 | 2023-03-06 19:45:02+00:00 | 0.84 | 0.83 | 0.85 | 0.38 | 82.608690 | 9391 | 39456 | 0.238655 | False | REGULAR | USD |
| Call IV | Put IV | |
|---|---|---|
| strike | ||
| 140.0 | 0.371100 | 0.275886 |
| 145.0 | 0.338752 | 0.258674 |
| 150.0 | 0.306892 | 0.241707 |
| 155.0 | 0.284919 | 0.225227 |
| 160.0 | 0.266487 | 0.203987 |
| 165.0 | 0.248909 | 0.175423 |
| 170.0 | 0.238655 | 0.000010 |
| Call IV | Put IV | |
|---|---|---|
| strike | ||
| 180.00 | 0.681400 | 0.624638 |
| 183.33 | 0.674930 | 0.619694 |
| 185.00 | 0.670536 | 0.616215 |
| 190.00 | 0.659549 | 0.608769 |
| 191.67 | 0.659122 | 0.608036 |
| 195.00 | 0.654667 | 0.601200 |
| 200.00 | 0.648441 | 0.595280 |
| 205.00 | 0.642765 | 0.591923 |
| 208.33 | 0.640323 | 0.585026 |
| 210.00 | 0.637028 | 0.583256 |